Securitisation
Savers and funds grabbed MBSs as banks and Fed retreated
Central banks and commercial lenders became net sellers of bundled mortgages as rates rose, says BIS
World Omni ditched term SOFR tranche in latest ABS
Toyota deal drew ARRC’s ire, but some bankers still see a case for using term SOFR in auto ABS
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
US Treasury urged to investigate private equity insurers
Senate banking committee chair says Athene and other PE-owned firms take more risk, may hold less capital
The evolution of Intesa Sanpaolo’s credit portfolio management practice
In this podcast, Zoi Fletcher speaks to Elisabetta Bernardini and Biagio Giacalone about the new approaches Intesa Sanpaolo has developed to credit portfolio management.
Credit portfolio manager of the year: Intesa Sanpaolo
Risk Awards 2022: Italy’s largest lender is one of the EU’s strongest thanks to smart securitisations
Insurers’ favourite credit rating becomes more expensive
US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
Botched fallbacks leave CLOs facing early Libor switch
Nearly two-thirds of CRE securitisations issued since 2019 have already triggered fallback clauses
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
SocGen’s STS securitisations hit €9 billion in 2020
‘Simple, transparent and standardised’ exposures had half the capital charges of the rest of the book
Risk density of Santander’s securitisation book hits five-year high
Synthetic securitisations helped cap credit RWAs last year
Riskiness of internationally-active UK banks edged up in 2020
Risk density across top five UK banks fell year on year
Synthetic risk transfer plumps SocGen’s capital buffer
Risk transfer and CET1 relief smooth out add-on for model risk at the French bank
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2021: Lender crushes RWAs to keep taps flowing to corporate Europe during Covid crisis
Fears EU’s ‘tough legacy’ fix could tie risk managers’ hands
Proposal bans use of replacement rate in new products, which some fear could hamper hedging and novations
Friary deal clears path for Sonia switch revival
Consent solicitation for Libor-linked pass-through notes is first transition test for variable-duration instruments
One-fifth of SocGen’s securitisations have STS label
French bank held €7 billion of simple, transparent, standardised securitisations as of end-June
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Eurozone securitisation dealmaking bounced back in Q2
Special purpose vehicles bought €19.2 billion of securitised bank loans in Q2
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks